Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0704 |
| Annualized Std Dev | 0.2301 |
| Annualized Sharpe (Rf=0%) | 0.3062 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3779.0000 |
| NAs | 1.0000 |
| Minimum | -0.1415 |
| Quartile 1 | -0.0058 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1158 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.4820 |
| Kurtosis | 10.3146 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6053 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0360 |
| Modified VaR (95%) | -0.0224 |
| Modified ES (95%) | -0.0443 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-01 | -0.6053 | 955 | 434 | 521 |
| 2020-02-21 | 2020-03-23 | 2020-11-10 | -0.4222 | 184 | 22 | 162 |
| 2015-06-19 | 2016-02-11 | 2016-12-07 | -0.2840 | 358 | 158 | 200 |
| 2011-05-02 | 2011-10-04 | 2012-09-14 | -0.2791 | 341 | 109 | 232 |
| 2018-08-30 | 2018-12-24 | 2020-02-20 | -0.2505 | 370 | 80 | 290 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 | 0.2 | 1.6 |
| 2006 | 0.3 | 0.9 | -0.1 | -0.2 | 1.2 | 0.6 | -0.2 | 0.7 | -0.3 | -0.9 | -0.8 | -0.7 | 0.5 |
| 2007 | 0.9 | -0.4 | -0.1 | 0 | 0.4 | -0.7 | -1.3 | 0.1 | 1.4 | -2.7 | 1.1 | -0.7 | -2 |
| 2008 | 2.1 | -2.9 | 3.5 | 0.8 | 0.6 | -1 | -0.7 | 0.3 | -0.7 | 3.1 | -9.5 | 3.4 | -1.8 |
| 2009 | -2.4 | -0.1 | 1 | -0.2 | 4.8 | 1 | 0.5 | -2.6 | -3.1 | -2.7 | 1.7 | -0.1 | -2.4 |
| 2010 | 1.3 | 2 | 0.7 | -1.7 | -2.8 | -0.8 | -0.2 | 2.8 | -0.1 | 0.1 | 1.7 | 0 | 2.9 |
| 2011 | 1.4 | -1.3 | 0.5 | 0.3 | -2.1 | 1.4 | -1 | -0.2 | -1.9 | -2.9 | 0.7 | 0 | -4.9 |
| 2012 | 2.1 | 0.5 | 0 | 1 | -3.3 | 2.7 | -0.6 | 0.5 | 0.1 | 1.6 | 0.2 | 1.3 | 6.4 |
| 2013 | 0.7 | -0.1 | -1 | -1.3 | -0.6 | 1.4 | 1.2 | -1.1 | 1.2 | -0.7 | 0.1 | 0.6 | 0.3 |
| 2014 | -0.1 | 0.2 | 0.8 | 0.6 | 0.5 | 0.6 | -0.6 | -0.3 | -1.8 | 1.2 | -1.8 | 0 | -0.8 |
| 2015 | -0.8 | 0.3 | -0.4 | 0.9 | -0.2 | 0.2 | 0.4 | -2.1 | 0.7 | 0.2 | 0.4 | -0.9 | -1.4 |
| 2016 | 0.1 | 1.2 | 0.1 | -2.5 | -0.1 | 0.7 | 0.3 | -0.3 | 0.4 | -0.8 | 0.9 | 0.3 | 0 |
| 2017 | -0.4 | 1.8 | 0 | 0 | 1.6 | 0.3 | 0.3 | 0.6 | 0.7 | -0.5 | -0.4 | -0.7 | 3.6 |
| 2018 | 0.3 | -0.4 | 1.4 | 0.4 | 0.6 | 0.1 | -0.1 | 0.3 | -0.9 | 2.1 | 0.7 | 0.8 | 5.3 |
| 2019 | 0.1 | 0.6 | 1.4 | -1 | -1.1 | 0.3 | -1.5 | 0.2 | -1.9 | 1.5 | -0.8 | 0.2 | -2.1 |
| 2020 | -2.1 | -2 | -5.9 | -3.3 | 1.2 | -0.7 | -0.8 | 0.8 | 1.3 | -0.8 | 1.2 | 0.2 | -10.5 |
| 2021 | 2 | 2.9 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
